We investigate whether asymmetric information in the equity market affects the information flow from the equity market to the credit default swap (CDS) market. We find that the response to stock price changes is larger if they are more informative. Moreover, firms with a lower CDS bid–ask spread are associated with a more rapid response. Our results suggest that asymmetric information in the equity market mainly impacts cross-sectional differences in the total response of the CDS market. Our evidence indicates that this effect is amplified when sentiment-driven trading declines in the equity market or transaction costs are low in the CDS market.

中文翻译：

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股权市场信息不对称和信息从股权市场流向CDS市场

我们研究了股票市场的信息不对称是否影响了从股票市场到信用违约互换 (CDS) 市场的信息流。我们发现，如果它们提供更多信息，则对股价变化的反应会更大。此外，CDS 买卖价差较低的公司响应速度更快。我们的研究结果表明，股票市场的信息不对称主要影响 CDS 市场总体反应的横截面差异。我们的证据表明，当股票市场情绪驱动的交易下降或 CDS 市场的交易成本较低时，这种影响会被放大。